Maximal Equity Drawdown
Jeffrey James Travers:
I have recently run some 1, 3 , 5, 10 and 15 year back tests with my EA. I came across something I have never noticed before and I am pretty concerned about it.
I ran a backtest from Jan of 2015 to Current data and my maximal DD was at roughly 10% See picture one. But when I run from 2015 to 2020, same EA, same settings everything the same. My maximal DD is at 26%.
How is this happening? I was under the assumption that the maximal DD showed max open DD and the maximal balance showed closed losses. Am I missing something here? Should i only test in 1, 3, 6 month increments and then compile all those reports? I am confused.
In both tests your Relative equity drawdown is around 29%. The Maximal drawdown is the max amount calculated in terms of percentage. Obviously the longer test had a larger drawdown in your currency but that max drawdown was smaller in terms of percentage.
I have recently run some 1, 3 , 5, 10 and 15 year back tests with my EA. I came across something I have never noticed before and I am pretty concerned about it.
I ran a backtest from Jan of 2015 to Current data and my maximal DD was at roughly 10% See picture one. But when I run from 2015 to 2020, same EA, same settings everything the same. My maximal DD is at 26%.
How is this happening? I was under the assumption that the maximal DD showed max open DD and the maximal balance showed closed losses. Am I missing something here? Should i only test in 1, 3, 6 month increments and then compile all those reports? I am confused.
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
I ran a backtest from Jan of 2015 to Current data and my maximal DD was at roughly 10% See picture one. But when I run from 2015 to 2020, same EA, same settings everything the same. My maximal DD is at 26%.
How is this happening? I was under the assumption that the maximal DD showed max open DD and the maximal balance showed closed losses. Am I missing something here? Should i only test in 1, 3, 6 month increments and then compile all those reports? I am confused.